Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0326
Annualized Std Dev 0.2469
Annualized Sharpe (Rf=0%) -0.1321

Row

Daily Return Statistics

Close
Observations 3463.0000
NAs 1.0000
Minimum -0.1261
Quartile 1 -0.0065
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0073
Maximum 0.1234
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0156
Skewness -0.5830
Kurtosis 8.1252

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0105
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.7282
Historical VaR (95%) -0.0241
Historical ES (95%) -0.0392
Modified VaR (95%) -0.0255
Modified ES (95%) -0.0528
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.7282 3369 339 NA
2007-07-20 2007-08-16 2007-10-29 -0.1668 71 20 51
2007-06-22 2007-06-27 2007-07-02 -0.0182 7 4 3
2007-07-10 2007-07-10 2007-07-12 -0.0136 3 1 2
2007-10-30 2007-10-30 2007-10-31 -0.0128 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA -0.5 -1.9 2.3 1.5 -2.5 0.4 -1.3 -2.2
2008 2.7 -4.3 1.8 0.7 1.1 -1.9 -1 0 0.1 2.7 -8.2 3.2 -3.6
2009 -1.5 1.1 1.3 2.6 4.3 1.8 1.2 -2.8 -2.9 -3.8 3 -0.3 3.8
2010 2 0.8 1.6 -1.1 -1.8 1.1 0.1 3.8 0.9 0.1 2.5 0.6 10.9
2011 2.4 -1.9 0.9 0.1 -2.3 0.7 -1 -1.2 -3 -3.6 -0.9 0.1 -9.3
2012 1.2 1.4 1 0.8 -2.1 3.7 0.1 1.4 0.7 0.6 0.2 1.9 11.2
2013 1.2 -0.1 -0.6 -0.8 -2.5 0.3 0.6 -0.7 0.6 -0.4 -0.1 0.3 -2.2
2014 -1.5 0.5 0.5 -0.2 0 0.7 -0.6 -0.2 -1 0.7 -0.7 -0.9 -2.6
2015 -1.1 0.3 0.2 0.6 -0.8 0.3 0.1 -3 0.4 0.2 1.3 -0.9 -2.6
2016 0.1 2.7 -0.8 0.1 -0.4 0.5 -1.2 0.5 0.9 -0.1 0.5 -0.3 2.4
2017 0.2 0.8 0.4 0.4 0.9 -0.1 0.4 0.3 0.6 0 0 0.1 4.2
2018 0.7 -0.6 0.4 0 0.2 0.3 -0.8 -0.9 0 1.5 -0.5 0.3 0.4
2019 0.1 0.4 0.9 -0.6 -0.5 0.1 -0.2 0.3 -0.7 0.7 -0.7 0.5 0.3
2020 -1.2 -1.1 -4.7 -2.9 2.8 0.6 -1.6 -0.2 0.4 0 2 -0.9 -6.8
2021 1.2 1.9 0.2 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart